Goals

It establishes boundaries control in a globally and individually on the markets risk and allows doing different risk estimates.

Operative Benefits

The structure of the information system works the investment operations, the calculation of risk through VAR methodology, for both, investments and portfolio.

It allows the establishment of exhibition levels and maximum loses by the negotiator and added up at the end of the day according to the type of risk, business area (pesos and foreign currency), portfolio, issuers quota and negotiators attributions (Repos, Interbanking, for short and long term in State investments and others.

For the calculation of market risk, the following things are kept into account: The identification of the tool that will be used, the type of factors that can affect the paper (local or foreign interest rate, the weighting factor to estimate the trust and the percentage of participation) in an investment portfolio.

The information to be generated for the market risk includes: Information of the maximum possible loss according to the horizon time given and the reliability, the price level estimate- rate in which the loss can take place, calculation of a stop loss or global positioning limit, evaluation over the participation of profits for each negotiator.

It functions with the standard model proposed by the Superintendencia Bancaria.

It works in Standard Duration and Modified Duration modes, with convexities for the evaluation of efficient portfolios, through the entry of title conditions, which allows knowing how many days it will take for the investment to be recovered.